Alcoa Backtesting

AA -- USA Stock  

USD 38.35  0.25  0.65%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Alcoa Corporation and determine expected loss or profit from investing in Alcoa over given investment horizon. Check also Alcoa Hype Analysis, Alcoa Correlation, Alcoa Valuation, Alcoa Volatility as well as analyze Alcoa Alpha and Beta and Alcoa Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Alcoa 'What if' Analysis

September 22, 2018
0.00
No Change 0.00  0.0%
In 30 days
October 22, 2018
0.00
If you would invest  0.00  in Alcoa on September 22, 2018 and sell it all today you would earn a total of 0.00 from holding Alcoa Corporation or generate 0.0% return on investment in Alcoa over 30 days. Alcoa is related to or competes with Aluminum, Kaiser Aluminum, Century Aluminum, Constellium, First Majestic, and AngloGold Ashanti. Alcoa Corporation produces and sells bauxite, alumina, and aluminum products

Alcoa Upside/Downside Indicators

Information Ratio0.5648
Maximum Drawdown3.2
Potential Upside1.69
  

Alcoa Market Premium Indicators

Risk Adjusted Performance0.3882
Jensen Alpha0.2824
Total Risk Alpha0.4028
Treynor Ratio8.11

Alcoa Backtested Returns

Macroaxis considers Alcoa to be not too volatile. Alcoa secures Sharpe Ratio (or Efficiency) of -0.1172 which signifies that Alcoa had -0.1172% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Alcoa Corporation exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alcoa Mean Deviation of 0.4949 and Risk Adjusted Performance of 0.3882 to double-check risk estimate we provide. Macroaxis gives Alcoa performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0341 which signifies that as returns on market increase, Alcoa returns are expected to increase less than the market. However during bear market, the loss on holding Alcoa will be expected to be smaller as well.. Even though it is essential to pay attention to Alcoa historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy in foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Alcoa Corporation exposes twenty-one different technical indicators which can help you to evaluate its performance. Alcoa has expected return of -0.3014%. Please be advised to confirm Alcoa Mean Deviation, Standard Deviation, Treynor Ratio, as well as the relationship between Downside Deviation and Information Ratio to decide if Alcoa past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.75 

Good predictability

Alcoa Corporation has good predictability. Overlapping area represents the amount of predictability between Alcoa time series from September 22, 2018 to October 7, 2018 and October 7, 2018 to October 22, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Alcoa price movement. The serial correlation of 0.75 indicates that around 75.0% of current Alcoa price fluctuation can be explain by its past prices.
Correlation Coefficient0.75
Spearman Rank Test-0.1
Residual Average0.0
Price Variance1.81

Alcoa lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Alcoa regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Alcoa Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - AA

Alcoa Investor Sentiment

Nearly all of Macroaxis users are presently bullish on Alcoa Corporation. What is your sentiment towards investing in Alcoa Corporation? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Alcoa Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Alcoa and Aluminum Of China. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Check also Alcoa Hype Analysis, Alcoa Correlation, Alcoa Valuation, Alcoa Volatility as well as analyze Alcoa Alpha and Beta and Alcoa Performance. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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